The variance is the measure of spread from the center. Therefore, how to accurately estimate variance has always been an important topic in recent years. In this paper, we consider a linear regression model which is the most popular model in practice. We use jackknife empirical likelihood method to obtain the interval estimate of variance in the regression model. The proposed jackknife empirical likelihood ratio converges to the standard chi-squared distribution. The simulation study is carried out to compare the jackknife empirical likelihood method and standard method in terms of coverage probability and interval length for the confidence interval of variance from linear regression models. The proposed jackknife empirical likelihood method has better performance. We also illustrate the proposed methods using two real data sets.

Morningstar is an independent provider of investment research and provide information on approximately 380 000 investment offerings about mutual funds. Morningstar are most known for their “star” rating system, which rates funds from the lowest 1-star to the highest 5-stars. Since investors frequently use fund data provided by Morningstar, we will evaluate whether investing in funds with higher fees and higher ratings would end up with higher returns. Examinations will be made if there is a relationship between mutual fund performance and the management fees within top-rated (5-star) funds and bottom-rated (1-&2-star). The mutual funds which are included in this thesis are United Kingdom (UK) managed and invested in three different markets; Asia-Pacific except-Japan, Europe except UK-Large Cap, and the United States (US) Market. This allows us to compare different markets at different stages of maturity. The results clearly show that the top-rated funds within all three markets outperformed the bottom-rated funds. Furthermore, the results demonstrate that the investor in general will earn a higher return by paying a higher management fee (TER) for the top-rated funds in all regions. The results also show that the TER for the bottom-rated funds in Europe and US market is higher compared to the top-rated funds. This means that the investor will pay higher fees for funds that do not perform well.

<p>Air pollution and a general concern for lack of physical activity in North America have motivated governments to encourage non-motorized modes of transportation. A key infrastructure component for these forms of transportation is sidewalks. The City of Saskatoon has identified the need to formalize sidewalk management policies to demonstrate diligence for community protection regarding sidewalk safety. Prioritization of sidewalk maintenance and rehabilitation actions must be objective and minimize risk to the community. Most research on prioritization of pedestrian facilities involved new construction projects. This research proposes a decision model that prioritizes a given list of existing unsafe sidewalk locations needing maintenance or rehabilitation using a direct measure of pedestrian safety, namely, quality-adjusted life years lost per year. </p><p>A decision model was developed for prioritizing a given list of unsafe sidewalk locations, aiding maintenance and rehabilitation decisions by providing the associated risk to pedestrian safety. The model used data mostly from high quality sources that had already been collected and validated. Probabilities and estimations were used to produce value-added decision policy.</p> <p>The decision analysis framework applied probability and multi-attribute utility theories. This study differed from other research due to the inclusion of age and gender groups. Total average daily population of the city was estimated. This population was distributed to sidewalk locations using probabilities for trip purposes and a locations ability to attract people relative to the city total. Then trip injury events were predicted. Age and gender distribution and trip injury type estimations were used to determine the impact of those injuries on quality of life.</p><p>There exist much observable high quality data that can be used as indicators of unknown or unobserved events. A decision policy was developed that prioritizes unsafe sidewalk locations based on the direct safety impact on pedestrians. Results showed that quality-adjusted life years lost per year sufficiently prioritized a given list of unsafe sidewalk locations. It was demonstrated that the use of conditional probabilities (n=594) allowed for the ability to abstract data representing a different source population to another. Average daily population confined and distributed within the city boundary minimized problems of accuracy. Gender-age distribution was important for differentiating the risk at unsafe sidewalk locations. Concepts from this research provide for possible extension to the development of sidewalk service levels and sidewalk priority maps and for risk assessment of other public services.</p>

Purpose: The purpose of this study is to examine the difference in return between Swedish and Russian hedge funds while considering the risk taken. Method: This study is based on quantitative data on funds' historical returns from the electronic database Morningstar.se. Additional data is taken from the funds websites, the Swedish National Bank and Fondbolagens förening. Result and conclusion: All hedge funds, both the Russian and Swedish performed better thanthe index. The Russian hedge funds nevertheless performed better than their Swedishcounterparts in all three evaluation methods. / Syfte: Syfte med undersökningen är att granska skillnaderna i avkastning med hänsyn till riskenmellan svenska och ryska hedgefonder. Metod: Denna studie grundas på kvantitativ data om fondernas historiska avkastning från den elektroniska databasen Morningstar.se. Ytterligare data är hämtad från fondernas hemsidor, Riksbanken och Fondbolagens förening. Resultat och slutsats: Alla hedgefonder både de ryska och de svenska presterade bättre än index. De ryska hedgefonderna presterade dock bättre än de svenska i alla tre utvärderingsmåtten.

I denna studie har aktieutvecklingen hos förvärvade börsnoterade företag vid budets offentliggörande studerats. Företagen som förvärvades under lågkonjunkturen år 2007-2009, och högkonjunkturen år 2001-2004 har undersökts för att se om det finns någon skillnad i aktieprisutvecklingen som skulle kunna bero på vilket tillstånd ekonomin i samhället befinner sig. Därefter utreds om det finns en skillnad beroende på vilken bransch företagen befinner sig i. Studien förankras teoretiskt ur den effektiva marknadshypotesen där en semistark effektiv marknad antas. Denna grad av effektivitet antas vanligen för finansiella marknader och är den form som eventstudier utgår ifrån. Den undersökningsform som används i denna uppsats är en eventstudie och denna statistiska metod mäter marknadens reaktion på ny information. Den abnorma avkastningen har beräknats vilket sedan belysts genom tabeller och diagram, vilka i sin tur tolkats av en analytiker. Studien resulterade i att företagsförvärv i lågkonjunktur har högre abnorm avkastning än uppköp som sker under högkonjunktur. Uppsatsen uppvisade även att kommunikationssektorn hade en högre abnorm avkastning än resterande branscher. / Share development of acquired companies listed at the bearer's publication has been studied. Companies acquired during the recession years 2007-2009 and the boom years 2001-2004 have been studied to see if there is any difference in the share price that would depend on what cyclical the economy in the society is. I have further investigated whether there is a difference depending on what industry the companies are active in. The study is anchored in theory from the efficient market hypothesis in which a semi-strong efficient market is assumed. This degree of efficiency is usually assumed in financial markets and is the form that event studies adopt. The survey form used in this paper is an event study and this statistical method measures the market’s reaction to new information. The abnormal return is calculated which is then illustrated by tables and charts, which in turn is interpreted by an analyst. The study showed that acquisitions in the recession had higher abnormal returns than purchases made during the boom. The paper also showed that the communications companies had a higher abnormal return than the remaining sectors.

The aim of this study is to evaluate the difference in performance and management fees between ethical and conventional mutual funds registered in Sweden. Our dataset consists of 49 ethical and 254 conventional funds, estimated on a 10-year period of time between January 2005 to January 2015. Jensen’s alpha is used as a measure for risk-adjusted performance and estimated through CAPM single-index model as well as by Carhart’s four-factor model. By adding back the management fees to the net returns and then estimate Jensen’s alpha by Carhart’s four-factor model once again, evidence of any differences in the impact on return between ethical and conventional funds is found. The results obtained from the study show that there is no difference in neither the risk-adjusted returns nor management fees between ethical and conventional funds. It is concluded that Swedish mutual fund investors are not paying a specific price in terms of reduced returns or higher management fees for putting social and ethical values into their financial investment decision.

Bakgrund: Det rådande pensionssystemet i Sverige består av sex så kallade AP-fonder. Genom åren har pensionssystemet flertalet gånger kritiserats för dess låga avkastning. Problem: Vår huvudfråga är att jämföra AP-fondernas risk och avkastning med aktiemarknaden som helhet, detta ska ske med hjälp av två jämförelseindex: MSCI World och SIXRX. Syfte: Syftet med uppsatsen är att jämföra de fyra första AP-fondernas risk och avkastning med aktiemarknaden som helhet under åren 2002-2010. Metod: Vi har använt oss av en kvantitativ metod, genom att samla in information från AP-fondernas årsredovisningar och hemsidor. Vi har samlat in historisk data, som vi sedan har bearbetat och analyserat. Slutsats: De studerade AP-fonderna har presterat sämre än aktiemarknaden. / Background: The current pension system in Sweden consists of six so called AP-funds. Throughout the years the pension system has been criticized for its low return. Problem: We will compare the pension funds’ risk and return with the rest of the stock market as a whole. This will be done by the aid of two comparison registers: MSCI World and SIXRX. Purpose: Our purpose with the essay is to compare the pension funds in the Swedish pension system, their risk and return, with the share market as a whole. Method: We have used a quantitative method, by gathering information from the annual reports and relevant websites. We have also gathered historical data, which has been processed and analyzed. Conclusion: The studied pension funds have achieved lower results than the stock market market.

Model-based clustering is based on a finite mixture of distributions, where each mixture component corresponds to a different group, cluster, subpopulation, or part thereof. Gaussian mixture distributions are most often used. Criteria commonly used in choosing the number of components in a finite mixture model include the Akaike information criterion, Bayesian information criterion, and the integrated completed likelihood. The best model is taken to be the one with highest (or lowest) value of a given criterion. This approach is not reasonable because it is practically impossible to decide what to do when the difference between the best values of two models under such a criterion is ‘small’. Furthermore, it is not clear how such values should be calibrated in different situations with respect to sample size and random variables in the model, nor does it take into account the magnitude of the likelihood. It is, therefore, worthwhile considering a model-averaging approach. We consider an averaging of the top M mixture models and consider applications in clustering and classification. In the course of model averaging, the top M models often have different numbers of mixture components. Therefore, we propose a method of merging Gaussian mixture components in order to get the same number of clusters for the top M models. The idea is to list all the combinations of components for merging, and then choose the combination corresponding to the biggest adjusted Rand index (ARI) with the ‘reference model’. A weight is defined to quantify the importance of each model. The effectiveness of mixture model averaging for clustering is proved by simulated data and real data under the pgmm package, where the ARI from mixture model averaging for clustering are greater than the one of corresponding best model. The attractive feature of mixture model averaging is it’s computationally efficiency; it only uses the conditional membership probabilities. Herein, Gaussian mixture models are used but the approach could be applied effectively without modification to other mixture models. / Paul McNicholas

The interest in the use of fiscal policy as an effective economic policy tool has been revived recently, since the global recession of 2008 hit the world. In spite of a large empirical literature, there remains substantial uncertainty about the size and even the direction of the effects of discretionary fiscal policy. This thesis seeks to investigate the macroeconomic effects of discretionary fiscal policy in the short term, highlighting several methodologies for identifying discretionary fiscal policy. In Chapters 2 and 3, we suggest a new instrument based on the narrative approach for identifying exogenous government spending shocks: natural disaster damages and the subsequent government emergency spending. While applying our methodology to the Korean and the U.S data, we find that our instrument is not only powerful but also superior to military build-ups used by most of the literature. The relief expenditure in the wake of natural disaster has several advantages such as the similarity in scope to general government activity and the easy applicability beyond the U.S. compared to military build-ups. In the analysis of Korean fiscal policy, using our narrative method and the Structural Vector Autoregression (SVAR) model, we find that government spending shocks increase GDP, consumption, and real wage, which is in line with the New Keynesian model. We also find that the timing is crucial in identifying government spending shocks due to the anticipation effects of fiscal policy. Furthermore, while analyzing the U.S. fiscal policy both at the state as well as national level, we estimate two kinds of non-defense spending multipliers: federal (1.4~1.7) and state (1.5~2.5), which exceed the defense spending multiplier obtained in the literature using military building-ups. In Chapter 4, in regard to the study of effects of fiscal adjustment, we develop the approach based on changes in cyclically adjusted primary balance (CAPB) by including fluctuations of asset price in the CAPB measure and allowing for individual country heterogeneity in the definition of fiscal adjustment. Using our new CAPB in 20 OECD countries, we find that fiscal adjustments have contractionary effects on economic activity in the short term, which is consistent with the result based on the narrative approach. Nevertheless, our results suggest that fiscal adjustments that rely predominantly on spending cuts are less contractionary than those involving tax increases.

This thesis aims to fill the gaps in the literature of the theory of constraints (TOC) in publicly funded health systems. While TOC seems to be a natural fit for this resource-constrained environment, there are still no reported application of TOC’s drum-buffer-rope tool and inadequate customizations with regards to defining system-wide goal and performance measures. The “Drum-Buffer-Rope for an Outpatient Cancer Facility” chapter is a real world case study exploring the usefulness of TOC’s drum-buffer-rope scheduling technique in a publicly funded outpatient cancer facility. With the use of a discrete event simulation model populated with historical data, the drum-buffer-rope scheduling policy is compared against “high constraint utilization” and “low wait time” scenarios. Drum-buffer-rope proved to be an effective mechanism in balancing the inherent tradeoff between the two performance measures of instances of delayed treatment and average patient wait time. To find the appropriate level of compromise in one performance measure in favor of the other, the linkage of these measures to system-wide performance measures are proposed. In the “Theory of Constraints’ Performance Measures for Publicly Funded Health Systems” chapter, a system dynamics representation of the classical TOC’s system-wide goal and performance measures for publicly traded for-profit companies is developed, which forms the basis for developing a similar model for publicly funded health systems. The model is then expanded to include some of the factors that affect system performance, providing a framework to apply TOC’s process of ongoing improvement in publicly funded health systems. The “Connecting Low-Level Performance Measures to the Goal” chapter attempts to provide a framework to link the low-level performance measures with system-wide performance measures. It is claimed that until such a linkage is adequately established, TOC has not been fully transferred to publicly funded health systems.